It's the first time that i install a Zabbix server on my dedicated server (debian 5).
But zabbix cannot collect data from the server itself (no remote server, it's installed on the server i have to monitor)

Do you have an idea on what's going on ?

PS: on the server, there were already a zabbix agent which allowed me only to see traffic usage on the server hosting pannel. Can it be related ?
I installed via :

Check your agent config file. If you've told the agents to only accept connections from the server IP (eg 192.168.1.1), but the server is configured to poll itself via localhost, then the agent will see the local connection coming from 127.0.0.1 and deny it.

To fix it, you can add multiple IPs to the agent config, or set the server to poll the proper IP of the server.

A quick test is to run zabbix_get -s localhost -k <key> and then zabbix_get -s <server IP> -k <key> and see if it makes a difference.

Not sure about Debian, but I have successfully installed Zabbix with working agents on Ubuntu and CentOS. And @Richlv is right on the things you should check. Usually the server should be able to detect the daemon running on the same machine. From your case, it seems that this agent daemon is not detected. Try these commands in your terminal:

sudo service zabbix-agent status

If it says "zabbix-agent start/running, process xxx", then you could go ahead and check something else. Otherwise, run